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dc.contributor.authorBaharumshah, Ahmad Zubaidi-
dc.contributor.authorMohammed Masih, Abul Mansur-
dc.date.accessioned2018-10-11T01:50:15Z-
dc.date.available2018-10-11T01:50:15Z-
dc.date.issued2002-
dc.identifier.citationBaharumshah, Ahmad Zubaidi & Mohammed Masih, Abul Mansur. (2002). The stock market and the ringgit exchange rate: a note. Japan and the World Economy, 14, pp. 471-486.en_US
dc.identifier.issn0922-1425-
dc.identifier.urihttps://ikr.inceif.org/handle/INCEIF/2966-
dc.description.abstractThis paper presents and tests an augmented monetary model that includes the effect of stock prices on the bilateral exchange rates. The model is applied to the ringgit/US dollar (RM/US) and ringgit/Japanese yen (RM/JY) exchange rates. The empirical analysis is conducted by the Johansen method of cointegration. Using the data from the recent float that ends with 1996:Q4, the study is motivated, among others, by an interesting preliminary finding that although the augmented monetary model is cointegrated, it is subject to parameter instability and that the parameter time dependency can be attributed at least partly to a particular subset of the variables in the system including stock prices. We find that a restricted VAR modelwhich imposes exogeneity restrictions on I(1) variables, such as stock prices, among others, exhibits both cointegration and parameter stability. In addition, we demonstrate that exchange rate adjusts to clear any disequilibrium in the long-run relationship. The empirical findings tend to suggest that the equity market is significant in affecting the exchange rate and in explaining at least in part the parameter instability evidenced in the cointegrating system. Hence, we conclude that models of equilibrium exchange rate should be extended to include equity markets in addition to bond markets.en_US
dc.languageEnglish-
dc.language.isoenen_US
dc.publisherElsevier B.V.en_US
dc.rights2002. Elsevier Science B.V.-
dc.sourceSEDONA-
dc.subjectStock marketen_US
dc.subjectRinggit exchangeen_US
dc.titleThe stock market and the ringgit exchange rate: a noteen_US
dc.typeJournal Articleen_US
ikr.topic.maintopicConventional financeen_US
ikr.doctypeScholarly Works-
Appears in Collections:Journal Article


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  • Full metadata record
    DC FieldValueLanguage
    dc.contributor.authorBaharumshah, Ahmad Zubaidi-
    dc.contributor.authorMohammed Masih, Abul Mansur-
    dc.date.accessioned2018-10-11T01:50:15Z-
    dc.date.available2018-10-11T01:50:15Z-
    dc.date.issued2002-
    dc.identifier.citationBaharumshah, Ahmad Zubaidi & Mohammed Masih, Abul Mansur. (2002). The stock market and the ringgit exchange rate: a note. Japan and the World Economy, 14, pp. 471-486.en_US
    dc.identifier.issn0922-1425-
    dc.identifier.urihttps://ikr.inceif.org/handle/INCEIF/2966-
    dc.description.abstractThis paper presents and tests an augmented monetary model that includes the effect of stock prices on the bilateral exchange rates. The model is applied to the ringgit/US dollar (RM/US) and ringgit/Japanese yen (RM/JY) exchange rates. The empirical analysis is conducted by the Johansen method of cointegration. Using the data from the recent float that ends with 1996:Q4, the study is motivated, among others, by an interesting preliminary finding that although the augmented monetary model is cointegrated, it is subject to parameter instability and that the parameter time dependency can be attributed at least partly to a particular subset of the variables in the system including stock prices. We find that a restricted VAR modelwhich imposes exogeneity restrictions on I(1) variables, such as stock prices, among others, exhibits both cointegration and parameter stability. In addition, we demonstrate that exchange rate adjusts to clear any disequilibrium in the long-run relationship. The empirical findings tend to suggest that the equity market is significant in affecting the exchange rate and in explaining at least in part the parameter instability evidenced in the cointegrating system. Hence, we conclude that models of equilibrium exchange rate should be extended to include equity markets in addition to bond markets.en_US
    dc.languageEnglish-
    dc.language.isoenen_US
    dc.publisherElsevier B.V.en_US
    dc.rights2002. Elsevier Science B.V.-
    dc.sourceSEDONA-
    dc.subjectStock marketen_US
    dc.subjectRinggit exchangeen_US
    dc.titleThe stock market and the ringgit exchange rate: a noteen_US
    dc.typeJournal Articleen_US
    ikr.topic.maintopicConventional financeen_US
    ikr.doctypeScholarly Works-
    Appears in Collections:Journal Article


  • The_stock_market_and_the_ringgit_exchange_rate_mansur.pdf
    • Size : 207,12 kB

    • Format : Adobe PDF

    • View : 
    • Download :